for me, chess engines are great for improving my game. i need to have an opponent that plays extremely accurately. i'm not talking about the starting position but practicing say, mating with a bishop and knight or rook endings. lots of times i will play out the final positions of master games to checkmate. i guess a llano user would not find it all that important, even if they play chess, but chess engine performance is still very important to the game.
i also use them to analyse games of my own as well as master games. it helps understand what is going on, especially with tactics. this is why more younger people are super-gm's today. they can browse through their 4 million game database, find a game, and explore every move and variation with their engine in 30 minutes.
by far the coolest use is this.
http://www.chessbase.com/newsdetail.asp?newsid=6340